Gespeichert in:
| Hauptverfasser: | , |
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| Format: | Preprint |
| Veröffentlicht: |
2023
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| Schlagworte: | |
| Online-Zugang: | https://arxiv.org/abs/2302.01498 |
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Inhaltsangabe:
- Given two probability measures on sequential data, we investigate the transport problem with time-inconsistent preferences in a discrete-time setting. Motivating examples are nonlinear objectives, state-dependent costs, and regularized optimal transport with general $f$-divergence. Under the bicausal constraint, we introduce the concept of equilibrium transport. Existence is proved in the semi-discrete Markovian case and the continuous non-Markovian case with strict quasiconvexity, while uniqueness also holds in the second case. We apply our framework to study mean-variance dynamic matching, nonlinear or state-dependent objectives with Gaussian data, and mismatches in job markets. Numerical results indicate a positive relationship between mismatches and state dependence.